A new multivariate dependence measure based on comonotonicity

TL;DR

This paper introduces a novel multivariate dependence measure based on comonotonicity, extending existing concepts with new properties, analyses, and estimation methods to better capture dependence structures in multivariate data.

Contribution

The paper proposes a new dependence measure based on comonotonicity, with detailed analysis, properties, and estimation techniques, advancing multivariate dependence modeling.

Findings

The new measure captures dependence more effectively in multivariate data.

Analyses show the measure's unique properties and relations to existing measures.

Estimation methods are provided for practical application.

Abstract

In this paper we introduce a new multivariate dependence measure based on comonotonicity by means of product moment which motivated by the recent papers of Koch and Schepper (ASTIN Bulletin 41 (2011) 191-213) and Dhaene et al. (Journal of Computational and Applied Mathematics 263 (2014) 78-87). Some differences and relations between the new dependence measure and other multivariate measures are an- alyzed. We also give several characteristics of this measure and estimations based on the definitions and its property are presented.